Local, Regional, or Global Asset Pricing?

التفاصيل البيبلوغرافية
العنوان:	Local, Regional, or Global Asset Pricing?
المؤلفون:	Hollstein, Fabian
المصدر:	Journal of Financial & Quantitative Analysis; Feb2022, Vol. 57 Issue 1, p291-320, 30p
مصطلحات موضوعية:	ASSET management accounts, INTERNATIONAL markets, EMERGING markets, LOCAL distribution companies, PORTFOLIO diversification
مستخلص:	Analyzing several developed and emerging international markets, I test the ability of global, regional, and local models to explain a large set of 134 cross-sectional anomalies. My main finding is that both global and regional factor models create substantially larger average absolute alphas than local factor models. Annual (absolute) anomaly portfolio alphas are on average 1.7 and 1.1 percentage points higher, respectively, with global and regional than with local factor models. Even for the most recent period, there is no evidence of a catch-up of global and regional factor models. There is substantial potential for international diversification of anomaly strategies. [ABSTRACT FROM AUTHOR]
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قاعدة البيانات:	Complementary Index

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